Sharks in the dark: quantifying HFT dark pool latency arbitrage
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More about this item
Keywords
high-frequency trading; dark pools; latency arbitrage; stale quotes; reference prices;All these keywords.
JEL classification:
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2023-09-11 (Market Microstructure)
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